Quick Links: ROOT Homepage Class Index Class Hierarchy

Source: header file source file viewVC header viewVC source

Sections: class description function members data members class charts

ROOT » ROOFIT » ROOSTATS » RooStats::MCMCInterval

class RooStats::MCMCInterval: public RooStats::ConfInterval

MCMCInterval is a concrete implementation of the RooStats::ConfInterval interface. It takes as input Markov Chain of data points in the parameter space generated by Monte Carlo using the Metropolis algorithm. From the Markov Chain, the confidence interval can be determined in two ways:

Using a Kernel-Estimated PDF: (not the default method)

A RooNDKeysPdf is constructed from the data set using adaptive kernel width. With this RooNDKeysPdf F, we then integrate over the most likely domain in the parameter space (tallest points in the posterior RooNDKeysPdf) until the target confidence level is reached within an acceptable neighborhood as defined by SetEpsilon(). More specifically: we calculate the following for different cutoff values C until we reach the target confidence level: \int_{ F >= C } F d{normset}. Important note: this is not the default method because of a bug in constructing the RooNDKeysPdf from a weighted data set. Configure to use this method by calling SetUseKeys(true), and the data set will be interpreted without weights.

Using a binned data set: (the default method)

This is the binned analog of the continuous integrative method that uses the kernel-estimated PDF. The points in the Markov Chain are put into a binned data set and the interval is then calculated by adding the heights of the bins in decreasing order until the desired level of confidence has been reached. Note that this means the actual confidence level is >= the confidence level prescribed by the client (unless the user calls SetHistStrict(kFALSE)). This method is the default but may not remain as such in future releases, so you may wish to explicitly configure to use this method by calling SetUseKeys(false)

These are not the only ways for the confidence interval to be determined, and other possibilities are being considered being added, especially for the 1-dimensional case.

One can ask an MCMCInterval for the lower and upper limits on a specific parameter of interest in the interval. Note that this works better for some distributions (ones with exactly one local maximum) than others, and sometimes has little value.

Function Members (Methods)

public:

virtual	~MCMCInterval()
void	TObject::AbstractMethod(const char* method) const
virtual void	TObject::AppendPad(Option_t* option = "")
virtual void	TObject::Browse(TBrowser* b)
virtual Bool_t	CheckParameters(const RooArgSet& point) const
static TClass*	Class()
virtual const char*	TObject::ClassName() const
virtual void	TNamed::Clear(Option_t* option = "")
virtual TObject*	TNamed::Clone(const char* newname = "") const
virtual Int_t	TNamed::Compare(const TObject* obj) const
virtual Double_t	ConfidenceLevel() const
virtual void	TNamed::Copy(TObject& named) const
virtual void	TObject::Delete(Option_t* option = "")MENU
virtual Int_t	TObject::DistancetoPrimitive(Int_t px, Int_t py)
virtual void	TObject::Draw(Option_t* option = "")
virtual void	TObject::DrawClass() constMENU
virtual TObject*	TObject::DrawClone(Option_t* option = "") constMENU
virtual void	TObject::Dump() constMENU
virtual void	TObject::Error(const char* method, const char* msgfmt) const
virtual void	TObject::Execute(const char* method, const char* params, Int_t* error = 0)
virtual void	TObject::Execute(TMethod* method, TObjArray* params, Int_t* error = 0)
virtual void	TObject::ExecuteEvent(Int_t event, Int_t px, Int_t py)
virtual void	TObject::Fatal(const char* method, const char* msgfmt) const
virtual void	TNamed::FillBuffer(char*& buffer)
virtual TObject*	TObject::FindObject(const char* name) const
virtual TObject*	TObject::FindObject(const TObject* obj) const
virtual Double_t	GetActualConfidenceLevel()
virtual RooArgList*	GetAxes()
virtual const RooStats::MarkovChain*	GetChain()
virtual const RooDataSet*	GetChainAsConstDataSet()
virtual RooDataHist*	GetChainAsDataHist(RooArgSet* whichVars = NULL)
virtual RooDataSet*	GetChainAsDataSet(RooArgSet* whichVars = NULL)
virtual THnSparse*	GetChainAsSparseHist(RooArgSet* whichVars = NULL)
virtual Int_t	GetDimension() const
virtual Option_t*	TObject::GetDrawOption() const
static Long_t	TObject::GetDtorOnly()
virtual Double_t	GetHistCutoff()
virtual const char*	TObject::GetIconName() const
virtual Double_t	GetKeysPdfCutoff()
virtual const char*	TNamed::GetName() const
virtual RooRealVar*	GetNLLVar() const
virtual Int_t	GetNumBurnInSteps()
virtual char*	TObject::GetObjectInfo(Int_t px, Int_t py) const
static Bool_t	TObject::GetObjectStat()
virtual Option_t*	TObject::GetOption() const
virtual RooArgSet*	GetParameters() const
virtual TH1*	GetPosteriorHist()
virtual RooNDKeysPdf*	GetPosteriorKeysPdf()
virtual RooProduct*	GetPosteriorKeysProduct()
virtual Double_t	GetSumOfWeights() const
virtual const char*	TNamed::GetTitle() const
virtual UInt_t	TObject::GetUniqueID() const
virtual Bool_t	GetUseKeys()
virtual RooRealVar*	GetWeightVar() const
virtual Bool_t	TObject::HandleTimer(TTimer* timer)
virtual ULong_t	TNamed::Hash() const
virtual void	TObject::Info(const char* method, const char* msgfmt) const
virtual Bool_t	TObject::InheritsFrom(const char* classname) const
virtual Bool_t	TObject::InheritsFrom(const TClass* cl) const
virtual void	TObject::Inspect() constMENU
void	TObject::InvertBit(UInt_t f)
virtual TClass*	IsA() const
virtual Bool_t	TObject::IsEqual(const TObject* obj) const
virtual Bool_t	TObject::IsFolder() const
virtual Bool_t	IsInInterval(const RooArgSet& point) const
Bool_t	TObject::IsOnHeap() const
virtual Bool_t	TNamed::IsSortable() const
Bool_t	TObject::IsZombie() const
virtual Double_t	LowerLimit(RooRealVar& param)
virtual Double_t	LowerLimitByDataHist(RooRealVar& param)
virtual Double_t	LowerLimitByHist(RooRealVar& param)
virtual Double_t	LowerLimitByKeys(RooRealVar& param)
virtual Double_t	LowerLimitBySparseHist(RooRealVar& param)
virtual void	TNamed::ls(Option_t* option = "") const
void	TObject::MayNotUse(const char* method) const
RooStats::MCMCInterval	MCMCInterval(const char* name = 0)
RooStats::MCMCInterval	MCMCInterval(const RooStats::MCMCInterval&)
RooStats::MCMCInterval	MCMCInterval(const char* name, const RooArgSet& parameters, RooStats::MarkovChain& chain)
virtual Bool_t	TObject::Notify()
static void	TObject::operator delete(void* ptr)
static void	TObject::operator delete(void* ptr, void* vp)
static void	TObject::operator delete[](void* ptr)
static void	TObject::operator delete[](void* ptr, void* vp)
void*	TObject::operator new(size_t sz)
void*	TObject::operator new(size_t sz, void* vp)
void*	TObject::operator new[](size_t sz)
void*	TObject::operator new[](size_t sz, void* vp)
RooStats::MCMCInterval&	operator=(const RooStats::MCMCInterval&)
virtual void	TObject::Paint(Option_t* option = "")
virtual void	TObject::Pop()
virtual void	TNamed::Print(Option_t* option = "") const
virtual Int_t	TObject::Read(const char* name)
virtual void	TObject::RecursiveRemove(TObject* obj)
void	TObject::ResetBit(UInt_t f)
virtual void	TObject::SaveAs(const char* filename = "", Option_t* option = "") constMENU
virtual void	TObject::SavePrimitive(basic_ostream<char,char_traits<char> >& out, Option_t* option = "")
virtual void	SetAxes(RooArgList& axes)
void	TObject::SetBit(UInt_t f)
void	TObject::SetBit(UInt_t f, Bool_t set)
virtual void	SetChain(RooStats::MarkovChain& chain)
virtual void	SetConfidenceLevel(Double_t cl)
virtual void	TObject::SetDrawOption(Option_t* option = "")MENU
static void	TObject::SetDtorOnly(void* obj)
virtual void	SetEpsilon(Double_t epsilon)
virtual void	SetHistStrict(Bool_t isHistStrict)
virtual void	TNamed::SetName(const char* name)MENU
virtual void	TNamed::SetNameTitle(const char* name, const char* title)
virtual void	SetNumBurnInSteps(Int_t numBurnInSteps)
static void	TObject::SetObjectStat(Bool_t stat)
virtual void	SetParameters(const RooArgSet& parameters)
virtual void	TNamed::SetTitle(const char* title = "")MENU
virtual void	TObject::SetUniqueID(UInt_t uid)
virtual void	SetUseKeys(Bool_t useKeys)
virtual void	SetUseSparseHist(Bool_t useSparseHist)
virtual void	ShowMembers(TMemberInspector& insp, char* parent)
virtual Int_t	TNamed::Sizeof() const
virtual void	Streamer(TBuffer& b)
void	StreamerNVirtual(TBuffer& b)
virtual void	TObject::SysError(const char* method, const char* msgfmt) const
Bool_t	TObject::TestBit(UInt_t f) const
Int_t	TObject::TestBits(UInt_t f) const
virtual Double_t	UpperLimit(RooRealVar& param)
virtual Double_t	UpperLimitByDataHist(RooRealVar& param)
virtual Double_t	UpperLimitByHist(RooRealVar& param)
virtual Double_t	UpperLimitByKeys(RooRealVar& param)
virtual Double_t	UpperLimitBySparseHist(RooRealVar& param)
virtual void	TObject::UseCurrentStyle()
virtual void	TObject::Warning(const char* method, const char* msgfmt) const
virtual Int_t	TObject::Write(const char* name = 0, Int_t option = 0, Int_t bufsize = 0)
virtual Int_t	TObject::Write(const char* name = 0, Int_t option = 0, Int_t bufsize = 0) const

protected:

virtual Double_t	CalcConfLevel(Double_t cutoff, Double_t full)
virtual void	CreateDataHist()
virtual void	CreateHist()
virtual void	CreateKeysDataHist()
virtual void	CreateKeysPdf()
virtual void	CreateSparseHist()
virtual void	DetermineByDataHist()
virtual void	DetermineByHist()
virtual void	DetermineByKeys()
virtual void	DetermineBySparseHist()
virtual void	DetermineInterval()
virtual void	TObject::DoError(int level, const char* location, const char* fmt, va_list va) const
void	TObject::MakeZombie()

private:

Bool_t

AcceptableConfLevel(Double_t confLevel)

Data Members

public:

enum {	DEFAULT_NUM_BINS
};
enum TObject::EStatusBits {	kCanDelete
	kMustCleanup
	kObjInCanvas
	kIsReferenced
	kHasUUID
	kCannotPick
	kNoContextMenu
	kInvalidObject
};
enum TObject::[unnamed] {	kIsOnHeap
	kNotDeleted
	kZombie
	kBitMask
	kSingleKey
	kOverwrite
	kWriteDelete
};

protected:

RooRealVar**	fAxes	array of pointers to RooRealVars representing
RooStats::MarkovChain*	fChain	the markov chain
Double_t	fConfidenceLevel	Requested confidence level (eg. 0.95 for 95% CL)
RooRealVar*	fCutoffVar	cutoff variable to use for integrating keys pdf
RooDataHist*	fDataHist	the binned Markov Chain data
Int_t	fDimension	number of variables
Double_t	fEpsilon	acceptable error for Keys interval determination
Double_t	fFull	Value of intergral of fProduct
RooStats::Heavyside*	fHeavyside	the Heavyside function
TH1*	fHist	the binned Markov Chain data
Double_t	fHistConfLevel	the actual conf level determined by hist
Double_t	fHistCutoff	cutoff bin size to be in interval
Double_t	fIntervalSum	sum of heights of bins in the interval
Bool_t	fIsHistStrict	whether the specified confidence level is a floor
Double_t	fKeysConfLevel	the actual conf level determined by keys
Double_t	fKeysCutoff	cutoff keys pdf value to be in interval
RooDataHist*	fKeysDataHist	data hist representing product
RooNDKeysPdf*	fKeysPdf	the kernel estimation pdf
TString	TNamed::fName	object identifier
Int_t	fNumBurnInSteps	number of steps to discard as burn in, starting from the first
RooArgSet	fParameters	parameters of interest for this interval
RooProduct*	fProduct	the (keysPdf * heavyside) product
THnSparse*	fSparseHist	the binned Markov Chain data
TString	TNamed::fTitle	object title
Bool_t	fUseKeys	whether to use kernel estimation
Bool_t	fUseSparseHist	whether to use sparse hist (vs. RooDataHist)

Class Charts

Inheritance Inherited Members Includes Libraries

Function documentation

MCMCInterval(const char* name)

MCMCInterval(const char* name, const RooArgSet& parameters, RooStats::MarkovChain& chain)

~MCMCInterval()

 destructor

Bool_t IsInInterval(const RooArgSet& point) const

void SetConfidenceLevel(Double_t cl)

void SetAxes(RooArgList& axes)

void CreateKeysPdf()

 kbelasco: check here for memory leak.  does RooNDKeysPdf use
 the RooArgList passed to it or does it make a clone?
 also check for memory leak from chain, does RooNDKeysPdf clone that?

void CreateHist()

void CreateSparseHist()

void CreateDataHist()

void SetParameters(const RooArgSet& parameters)

void DetermineInterval()

void DetermineByKeys()

void DetermineByHist()

void DetermineBySparseHist()

void DetermineByDataHist()

Double_t GetActualConfidenceLevel()

Double_t GetSumOfWeights() const

Double_t LowerLimit(RooRealVar& param)

Double_t UpperLimit(RooRealVar& param)

Double_t LowerLimitByHist(RooRealVar& param)

Double_t UpperLimitByHist(RooRealVar& param)

Double_t LowerLimitBySparseHist(RooRealVar& param)

Double_t LowerLimitByDataHist(RooRealVar& param)

Double_t UpperLimitBySparseHist(RooRealVar& param)

Double_t UpperLimitByDataHist(RooRealVar& param)

Double_t LowerLimitByKeys(RooRealVar& param)

Double_t UpperLimitByKeys(RooRealVar& param)

Double_t GetHistCutoff()

Double_t GetKeysPdfCutoff()

Double_t CalcConfLevel(Double_t cutoff, Double_t full)

TH1* GetPosteriorHist()

RooNDKeysPdf* GetPosteriorKeysPdf()

RooProduct* GetPosteriorKeysProduct()

RooArgSet* GetParameters() const

 returns list of parameters

Bool_t AcceptableConfLevel(Double_t confLevel)

void CreateKeysDataHist()

Bool_t CheckParameters(const RooArgSet& point) const

 check that the parameters are correct

explicit MCMCInterval(const char* name = 0)

 default constructor

Double_t ConfidenceLevel() const

 get the desired confidence level (see GetActualConfidenceLevel())

{return fConfidenceLevel;}

void SetHistStrict(Bool_t isHistStrict)

 whether the specified confidence level is a floor for the actual
 confidence level (strict), or a ceiling (not strict)

{ fIsHistStrict = isHistStrict; }

void SetChain(RooStats::MarkovChain& chain)

 Set the MarkovChain that this interval is based on

{ fChain = &chain; }

RooArgList* GetAxes()

 return a list of RooRealVars representing the axes
 you own the returned RooArgList

void SetNumBurnInSteps(Int_t numBurnInSteps)

 set the number of steps in the chain to discard as burn-in,
 starting from the first

{ fNumBurnInSteps = numBurnInSteps; }

void SetUseKeys(Bool_t useKeys)

 set whether to use kernel estimation to determine the interval

{ fUseKeys = useKeys; }

void SetUseSparseHist(Bool_t useSparseHist)

 set whether to use a sparse histogram.  you MUST also call
 SetUseKeys(kFALSE) to use a histogram.

{ fUseSparseHist = useSparseHist; }

Bool_t GetUseKeys()

 get whether we used kernel estimation to determine the interval

{ return fUseKeys; }

Int_t GetNumBurnInSteps()

 get the number of steps in the chain to disard as burn-in,
 get the number of steps in the chain to disard as burn-in,
 starting from the first

{ return fNumBurnInSteps; }

Int_t GetDimension() const

 Get the number of parameters of interest in this interval

{ return fDimension; }

const MarkovChain* GetChain()

 Get the markov chain on which this interval is based
 You do not own the returned MarkovChain*

{ return fChain; }

RooDataSet* GetChainAsDataSet(RooArgSet* whichVars = NULL)

 Get a clone of the markov chain on which this interval is based
 as a RooDataSet.  You own the returned RooDataSet*

{ return fChain->GetAsDataSet(whichVars); }

const RooDataSet* GetChainAsConstDataSet()

 Get the markov chain on which this interval is based
 as a RooDataSet.  You do not own the returned RooDataSet*

{ return fChain->GetAsConstDataSet(); }

RooDataHist* GetChainAsDataHist(RooArgSet* whichVars = NULL)

 Get a clone of the markov chain on which this interval is based
 as a RooDataHist.  You own the returned RooDataHist*

{ return fChain->GetAsDataHist(whichVars); }

THnSparse* GetChainAsSparseHist(RooArgSet* whichVars = NULL)

 Get a clone of the markov chain on which this interval is based
 as a THnSparse.  You own the returned THnSparse*

{ return fChain->GetAsSparseHist(whichVars); }

RooRealVar* GetNLLVar() const

 Get a clone of the NLL variable from the markov chain

{ return fChain->GetNLLVar(); }

RooRealVar* GetWeightVar() const

 Get a clone of the weight variable from the markov chain

{ return fChain->GetWeightVar(); }

void SetEpsilon(Double_t epsilon)

 set the acceptable level or error for Keys interval determination